For a portfolio manager’s skil

For a portfolio manager’s skill to be detected by statistical tests

a. the average abnormal return must be large
b. the idiosyncratic volatility must be small
c. the period of performance measurement must be long
d. all of the above

A successful market timer would

a. increase the sigma of his portfolio just before the market has a positive return

b. decrease the sigma of his portfolio just before the market has a positive return
c. increase the beta of his portfolio just before the market has a positive return
d. decrease the beta of his portfolio just before the market has a positive return

The following statement is always true for a portfolio that has a positive Jensen’s alpha:

a. The Sharpe ratio of the portfolio is higher than the Sharpe ratio of the market.
b. The Treynor ratio of the portfolio is higher than the Treynor ratio of the market.
c. The Treynor ratio of the portfolio is higher than the Sharpe ratio of the portfolio.
d. The Treynor ratio of the portfolio is lower than the Sharpe ratio of the portfolio.

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